From 7d0bd2842f062b5177d61f892f5c653558ea0e16 Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Tue, 25 Aug 2026 16:29:05 +0200 Subject: [PATCH] refactor: Unified Native & MTF Release with Robust Volume-Weighted Dispersion --- Indicators/MyIndicators/VWAP_Bands_Pro.mq5 | 631 ++++++++++++++++++--- 1 file changed, 539 insertions(+), 92 deletions(-) diff --git a/Indicators/MyIndicators/VWAP_Bands_Pro.mq5 b/Indicators/MyIndicators/VWAP_Bands_Pro.mq5 index aa390d0a..200a4dd1 100644 --- a/Indicators/MyIndicators/VWAP_Bands_Pro.mq5 +++ b/Indicators/MyIndicators/VWAP_Bands_Pro.mq5 @@ -3,116 +3,370 @@ //| Copyright 2026, xxxxxxxx| //+------------------------------------------------------------------+ #property copyright "Copyright 2026, xxxxxxxx" -#property version "2.00" // Bulletproof Sync & Gapped Drawing -#property description "VWAP with Volume-Weighted Standard Deviation Bands." -#property description "Bands only display for the Current Session." +#property version "3.00" // Unified Native & MTF Release with Robust Volume-Weighted Dispersion +#property description "Volume Weighted Average Price (VWAP) with Volume-Weighted Standard Deviation Bands." +#property description "Features unified Native & MTF pipelines, odd/even gapped lines, and session focus." #property indicator_chart_window #property indicator_buffers 8 #property indicator_plots 8 -// Plot 1-2: VWAP (Odd/Even for Gapped Drawing) +//--- Plot 1-2: VWAP (Odd/Even for Gapped Drawing) #property indicator_label1 "VWAP" #property indicator_type1 DRAW_LINE #property indicator_color1 clrOrange #property indicator_style1 STYLE_SOLID -#property indicator_width1 1 +#property indicator_width1 2 #property indicator_label2 "" #property indicator_type2 DRAW_LINE #property indicator_color2 clrOrange #property indicator_style2 STYLE_SOLID -#property indicator_width2 1 +#property indicator_width2 2 -// Plot 3-4: Band 1 (+/-) +//--- Plot 3-4: Band 1 (+/- 1.0 Sigma) #property indicator_label3 "Upper Band 1" #property indicator_type3 DRAW_LINE #property indicator_color3 clrDodgerBlue #property indicator_style3 STYLE_SOLID +#property indicator_width3 1 #property indicator_label4 "Lower Band 1" #property indicator_type4 DRAW_LINE #property indicator_color4 clrDodgerBlue #property indicator_style4 STYLE_SOLID +#property indicator_width3 1 -// Plot 5-6: Band 2 (+/-) +//--- Plot 5-6: Band 2 (+/- 2.0 Sigma) #property indicator_label5 "Upper Band 2" #property indicator_type5 DRAW_LINE #property indicator_color5 clrCoral #property indicator_style5 STYLE_SOLID +#property indicator_width5 1 #property indicator_label6 "Lower Band 2" #property indicator_type6 DRAW_LINE #property indicator_color6 clrCoral #property indicator_style6 STYLE_SOLID +#property indicator_width6 1 -// Plot 7-8: Band 3 (+/-) +//--- Plot 7-8: Band 3 (+/- 3.0 Sigma) #property indicator_label7 "Upper Band 3" #property indicator_type7 DRAW_LINE -#property indicator_color7 clrRed +#property indicator_color7 clrCrimson #property indicator_style7 STYLE_SOLID +#property indicator_width7 1 #property indicator_label8 "Lower Band 3" #property indicator_type8 DRAW_LINE -#property indicator_color8 clrRed +#property indicator_color8 clrCrimson #property indicator_style8 STYLE_SOLID +#property indicator_width8 1 +//--- Included Engines & Central Tools #include +#include -//--- Input Parameters -input group "VWAP Settings" -input ENUM_VWAP_PERIOD InpResetPeriod = PERIOD_SESSION; -input ENUM_APPLIED_VOLUME InpVolumeType = VOLUME_TICK; -input int InpTzShift = 0; // Timezone shift (Hours) +//--- Enum for selecting candle source --- +#ifndef ENUM_CANDLE_SOURCE_DEFINED +#define ENUM_CANDLE_SOURCE_DEFINED +enum ENUM_CANDLE_SOURCE + { + CANDLE_STANDARD, // Use standard OHLC data + CANDLE_HEIKIN_ASHI // Use Heikin Ashi smoothed data + }; +#endif -input group "Bands Settings" -input double InpBand1Mult = 1.0; -input double InpBand2Mult = 2.0; -input double InpBand3Mult = 3.0; +//--- Input Parameters --- +input group "--- Timeframe Settings ---" +input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // Calculation Timeframe (Current or HTF) -//--- Buffers +input group "--- VWAP Settings ---" +input ENUM_VWAP_PERIOD InpResetPeriod = PERIOD_SESSION; // Reset Period +input int InpTzShift = 0; // Timezone Shift in hours vs Broker Time +input string InpCustomSessionStart = "09:30"; // Start time (HH:MM) for Custom Session +input string InpCustomSessionEnd = "16:00"; // End time (HH:MM) for Custom Session + +input group "--- Calculation Settings ---" +input ENUM_APPLIED_VOLUME InpVolumeType = VOLUME_TICK; // Volume Type +input ENUM_CANDLE_SOURCE InpCandleSource = CANDLE_STANDARD; // Candle Source + +input group "--- Bands Settings ---" +input double InpBand1Mult = 1.0; // Band 1 Multiplier (Sigma) +input double InpBand2Mult = 2.0; // Band 2 Multiplier (Sigma) +input double InpBand3Mult = 3.0; // Band 3 Multiplier (Sigma) +input bool InpCurrentSessionOnly = true; // Display Bands for Most Recent Session Only? + +input group "--- Visual Settings - VWAP Centerline ---" +input color InpColorVWAP = clrOrange; // Centerline Color +input ENUM_LINE_STYLE InpStyleVWAP = STYLE_SOLID; // Centerline Style +input int InpWidthVWAP = 2; // Centerline Width + +input group "--- Visual Settings - Bands Colors ---" +input color InpColorBand1 = clrDodgerBlue; // Band 1 Color (+/- 1σ) +input color InpColorBand2 = clrCoral; // Band 2 Color (+/- 2σ) +input color InpColorBand3 = clrCrimson; // Band 3 Color (+/- 3σ) + +//--- Visual Indicator Buffers --- double BufVWAP_Odd[]; double BufVWAP_Even[]; double BufUp1[], BufDn1[]; double BufUp2[], BufDn2[]; double BufUp3[], BufDn3[]; -//--- Calculator -CVWAPCalculator *g_vwap; +//--- Internal HTF Data Caches (Chronological Arrays) +double h_open[], h_high[], h_low[], h_close[]; +long h_tick_vol[], h_vol[]; +double h_res_odd[], h_res_even[]; +double h_res_up1[], h_res_dn1[]; +double h_res_up2[], h_res_dn2[]; +double h_res_up3[], h_res_dn3[]; +datetime h_time[]; + +//--- Global Objects & State Management +CVWAPCalculator *g_calculator = NULL; + +bool g_is_mtf_mode = false; +ENUM_TIMEFRAMES g_calc_timeframe; +bool g_data_ready = false; +bool g_data_synced = false; +int g_htf_count = 0; +datetime g_last_htf_time = 0; //+------------------------------------------------------------------+ -//| Init | +//| Custom Indicator Initialization | //+------------------------------------------------------------------+ int OnInit() { - SetIndexBuffer(0, BufVWAP_Odd, INDICATOR_DATA); + g_data_ready = false; + g_data_synced = false; + g_htf_count = 0; + g_last_htf_time = 0; + +// 1. Resolve Timeframe and validate direction + g_calc_timeframe = InpTimeframe; + if(g_calc_timeframe == PERIOD_CURRENT) + g_calc_timeframe = (ENUM_TIMEFRAMES)Period(); + + if(g_calc_timeframe < Period()) + { + PrintFormat("Critical Error: Target timeframe (%s) must be >= current timeframe (%s).", + EnumToString(g_calc_timeframe), EnumToString(Period())); + return INIT_PARAMETERS_INCORRECT; + } + g_is_mtf_mode = (g_calc_timeframe > Period()); + +// 2. Bind Buffers + SetIndexBuffer(0, BufVWAP_Odd, INDICATOR_DATA); SetIndexBuffer(1, BufVWAP_Even, INDICATOR_DATA); - SetIndexBuffer(2, BufUp1, INDICATOR_DATA); - SetIndexBuffer(3, BufDn1, INDICATOR_DATA); - SetIndexBuffer(4, BufUp2, INDICATOR_DATA); - SetIndexBuffer(5, BufDn2, INDICATOR_DATA); - SetIndexBuffer(6, BufUp3, INDICATOR_DATA); - SetIndexBuffer(7, BufDn3, INDICATOR_DATA); + SetIndexBuffer(2, BufUp1, INDICATOR_DATA); + SetIndexBuffer(3, BufDn1, INDICATOR_DATA); + SetIndexBuffer(4, BufUp2, INDICATOR_DATA); + SetIndexBuffer(5, BufDn2, INDICATOR_DATA); + SetIndexBuffer(6, BufUp3, INDICATOR_DATA); + SetIndexBuffer(7, BufDn3, INDICATOR_DATA); -// Disable drawing for empty values (Crucial for gapped lines) - for(int i=0; i<8; i++) + for(int i = 0; i < 8; i++) PlotIndexSetDouble(i, PLOT_EMPTY_VALUE, EMPTY_VALUE); - PlotIndexSetString(1, PLOT_LABEL, "VWAP (Segment)"); - g_vwap = new CVWAPCalculator(); - if(!g_vwap.Init(InpResetPeriod, InpVolumeType, InpTzShift, true, 0)) + ArraySetAsSeries(BufVWAP_Odd, false); + ArraySetAsSeries(BufVWAP_Even, false); + ArraySetAsSeries(BufUp1, false); + ArraySetAsSeries(BufDn1, false); + ArraySetAsSeries(BufUp2, false); + ArraySetAsSeries(BufDn2, false); + ArraySetAsSeries(BufUp3, false); + ArraySetAsSeries(BufDn3, false); + + ArrayInitialize(BufVWAP_Odd, EMPTY_VALUE); + ArrayInitialize(BufVWAP_Even, EMPTY_VALUE); + ArrayInitialize(BufUp1, EMPTY_VALUE); + ArrayInitialize(BufDn1, EMPTY_VALUE); + ArrayInitialize(BufUp2, EMPTY_VALUE); + ArrayInitialize(BufDn2, EMPTY_VALUE); + ArrayInitialize(BufUp3, EMPTY_VALUE); + ArrayInitialize(BufDn3, EMPTY_VALUE); + +// 3. Configure Dynamic Visual Styling + PlotIndexSetInteger(0, PLOT_LINE_COLOR, InpColorVWAP); + PlotIndexSetInteger(0, PLOT_LINE_STYLE, InpStyleVWAP); + PlotIndexSetInteger(0, PLOT_LINE_WIDTH, InpWidthVWAP); + + PlotIndexSetInteger(1, PLOT_LINE_COLOR, InpColorVWAP); + PlotIndexSetInteger(1, PLOT_LINE_STYLE, InpStyleVWAP); + PlotIndexSetInteger(1, PLOT_LINE_WIDTH, InpWidthVWAP); + PlotIndexSetString(1, PLOT_LABEL, "VWAP (Segment)"); + + PlotIndexSetInteger(2, PLOT_LINE_COLOR, InpColorBand1); + PlotIndexSetInteger(3, PLOT_LINE_COLOR, InpColorBand1); + PlotIndexSetInteger(4, PLOT_LINE_COLOR, InpColorBand2); + PlotIndexSetInteger(5, PLOT_LINE_COLOR, InpColorBand2); + PlotIndexSetInteger(6, PLOT_LINE_COLOR, InpColorBand3); + PlotIndexSetInteger(7, PLOT_LINE_COLOR, InpColorBand3); + +// 4. Initialize Core Calculator Engine + if(InpCandleSource == CANDLE_HEIKIN_ASHI) + g_calculator = new CVWAPCalculator_HA(); + else + g_calculator = new CVWAPCalculator(); + + if(CheckPointer(g_calculator) == POINTER_INVALID) + { + Print("Critical Error: Failed to create VWAP Calculator object."); return INIT_FAILED; + } - IndicatorSetString(INDICATOR_SHORTNAME, "VWAP Bands Pro"); + bool init_success = false; + if(InpResetPeriod == PERIOD_CUSTOM_SESSION) + init_success = g_calculator.Init(InpCustomSessionStart, InpCustomSessionEnd, InpVolumeType, true, 0, InpTzShift); + else + init_success = g_calculator.Init(InpResetPeriod, InpVolumeType, InpTzShift, true, 0); + + if(!init_success) + { + Print("Critical Error: Failed to initialize VWAP Calculator logic."); + return INIT_FAILED; + } + + string ha_tag = (InpCandleSource == CANDLE_HEIKIN_ASHI) ? " HA" : ""; + string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : ""; + string short_name = StringFormat("VWAP Bands%s%s(%s)", ha_tag, tf_str, EnumToString(InpResetPeriod)); + IndicatorSetString(INDICATOR_SHORTNAME, short_name); IndicatorSetInteger(INDICATOR_DIGITS, _Digits); +// 5. Initialize Background Synchronization Timer (Only for MTF mode) + if(g_is_mtf_mode) + EventSetTimer(1); + return(INIT_SUCCEEDED); } -void OnDeinit(const int r) { if(CheckPointer(g_vwap)==POINTER_DYNAMIC) delete g_vwap; } +//+------------------------------------------------------------------+ +//| Custom Indicator Deinitialization | +//+------------------------------------------------------------------+ +void OnDeinit(const int reason) + { + if(g_is_mtf_mode) + EventKillTimer(); + + if(CheckPointer(g_calculator) != POINTER_INVALID) + { + delete g_calculator; + g_calculator = NULL; + } + } //+------------------------------------------------------------------+ -//| Calculate | +//| Helper: Compute Volume-Weighted Standard Deviation Bands | +//+------------------------------------------------------------------+ +void CalculateVWAPBands(const int total_bars, + const double &open_arr[], + const double &high_arr[], + const double &low_arr[], + const double &close_arr[], + const long &tick_vol_arr[], + const long &vol_arr[], + const ENUM_APPLIED_VOLUME vol_type, + const double &vwap_odd_arr[], + const double &vwap_even_arr[], + const bool current_session_only, + double &up1[], double &dn1[], + double &up2[], double &dn2[], + double &up3[], double &dn3[]) + { + ArrayInitialize(up1, EMPTY_VALUE); + ArrayInitialize(dn1, EMPTY_VALUE); + ArrayInitialize(up2, EMPTY_VALUE); + ArrayInitialize(dn2, EMPTY_VALUE); + ArrayInitialize(up3, EMPTY_VALUE); + ArrayInitialize(dn3, EMPTY_VALUE); + +// 1. Identify Most Recent Session Range + int most_recent_end = -1; + int most_recent_start = -1; + + for(int i = total_bars - 1; i >= 0; i--) + { + if(vwap_odd_arr[i] != EMPTY_VALUE || vwap_even_arr[i] != EMPTY_VALUE) + { + most_recent_end = i; + break; + } + } + + if(most_recent_end >= 0) + { + bool is_odd_target = (vwap_odd_arr[most_recent_end] != EMPTY_VALUE); + most_recent_start = most_recent_end; + + for(int i = most_recent_end; i >= 0; i--) + { + bool is_valid = is_odd_target ? (vwap_odd_arr[i] != EMPTY_VALUE) : (vwap_even_arr[i] != EMPTY_VALUE); + if(!is_valid) + break; + most_recent_start = i; + } + } + +// 2. Calculate Running Volume-Weighted Standard Deviation + int start_bar = (current_session_only && most_recent_start >= 0) ? most_recent_start : 0; + int end_bar = (current_session_only && most_recent_end >= 0) ? most_recent_end : (total_bars - 1); + + double cum_vol = 0.0; + double cum_tpv2 = 0.0; + int last_session_tag = 0; // 0=None, 1=Odd, 2=Even + + for(int i = start_bar; i <= end_bar; i++) + { + bool is_odd = (vwap_odd_arr[i] != EMPTY_VALUE); + bool is_even = (vwap_even_arr[i] != EMPTY_VALUE); + + if(!is_odd && !is_even) + { + last_session_tag = 0; + cum_vol = 0.0; + cum_tpv2 = 0.0; + continue; + } + + int session_tag = is_odd ? 1 : 2; + if(session_tag != last_session_tag) + { + cum_vol = 0.0; + cum_tpv2 = 0.0; + last_session_tag = session_tag; + } + + double vwap = is_odd ? vwap_odd_arr[i] : vwap_even_arr[i]; + + if(vwap != EMPTY_VALUE && vwap > 0.0) + { + double tp = (high_arr[i] + low_arr[i] + close_arr[i]) / 3.0; + long v_raw = (vol_type == VOLUME_REAL) ? vol_arr[i] : tick_vol_arr[i]; + double vol = (v_raw < 1) ? 1.0 : (double)v_raw; + + cum_vol += vol; + cum_tpv2 += (tp * tp) * vol; + + if(cum_vol > 0.0) + { + // Variance = E[P^2] - (E[P])^2 + double variance = (cum_tpv2 / cum_vol) - (vwap * vwap); + double stddev = (variance > 0.0) ? MathSqrt(variance) : 0.0; + + up1[i] = vwap + (InpBand1Mult * stddev); + dn1[i] = vwap - (InpBand1Mult * stddev); + up2[i] = vwap + (InpBand2Mult * stddev); + dn2[i] = vwap - (InpBand2Mult * stddev); + up3[i] = vwap + (InpBand3Mult * stddev); + dn3[i] = vwap - (InpBand3Mult * stddev); + } + } + } + } + +//+------------------------------------------------------------------+ +//| Custom Indicator Calculation Loop | //+------------------------------------------------------------------+ int OnCalculate(const int rates_total, const int prev_calculated, @@ -125,77 +379,220 @@ int OnCalculate(const int rates_total, const long &volume[], const int &spread[]) { - if(rates_total < 2) + if(rates_total < 2 || CheckPointer(g_calculator) == POINTER_INVALID) return 0; -// 1. Run Original VWAP Calculator (Fills Odd/Even properly) - g_vwap.Calculate(rates_total, prev_calculated, time, open, high, low, close, tick_volume, volume, BufVWAP_Odd, BufVWAP_Even); +// Force chronological indexing on current timeframe arrays + ArraySetAsSeries(time, false); + ArraySetAsSeries(open, false); + ArraySetAsSeries(high, false); + ArraySetAsSeries(low, false); + ArraySetAsSeries(close, false); + ArraySetAsSeries(tick_volume, false); + ArraySetAsSeries(volume, false); -// 2. Find the Start of the Current Session -// We look backwards until the Odd/Even status flips. - int current_session_start = 0; - - for(int i = rates_total - 1; i > 0; i--) +//=================================================================== +// MODE 1: Direct Current Timeframe Calculation (Zero-Lag O(1)) +//=================================================================== + if(!g_is_mtf_mode) { - bool is_odd_now = (BufVWAP_Odd[i] != EMPTY_VALUE && BufVWAP_Odd[i] != 0); - bool is_odd_prev = (BufVWAP_Odd[i-1] != EMPTY_VALUE && BufVWAP_Odd[i-1] != 0); + // 1. Calculate VWAP Odd/Even Lines + g_calculator.Calculate(rates_total, prev_calculated, time, open, high, low, close, + tick_volume, volume, BufVWAP_Odd, BufVWAP_Even); - if(is_odd_now != is_odd_prev) + // 2. Calculate Running Volume-Weighted Standard Deviation Bands + CalculateVWAPBands(rates_total, open, high, low, close, tick_volume, volume, InpVolumeType, + BufVWAP_Odd, BufVWAP_Even, InpCurrentSessionOnly, + BufUp1, BufDn1, BufUp2, BufDn2, BufUp3, BufDn3); + + return rates_total; + } + +//=================================================================== +// MODE 2: Multi-Timeframe Engine (Warp-free Step Synchronization) +//=================================================================== + int required_bars = 10; + if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars)) + { + g_data_synced = false; + return 0; + } + + g_data_synced = true; + + datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0); + bool htf_updated = (htf_time_current != g_last_htf_time); + + if(htf_updated || prev_calculated == 0) + { + g_last_htf_time = htf_time_current; + + int htf_bars = iBars(_Symbol, g_calc_timeframe); + if(htf_bars < required_bars) { - current_session_start = i; - break; + g_data_ready = false; + return 0; + } + + g_htf_count = MathMin(htf_bars, 3000); // Memory safeguard + + // Resize all HTF caching arrays + ArrayResize(h_time, g_htf_count); + ArrayResize(h_open, g_htf_count); + ArrayResize(h_high, g_htf_count); + ArrayResize(h_low, g_htf_count); + ArrayResize(h_close, g_htf_count); + ArrayResize(h_tick_vol, g_htf_count); + ArrayResize(h_vol, g_htf_count); + ArrayResize(h_res_odd, g_htf_count); + ArrayResize(h_res_even, g_htf_count); + ArrayResize(h_res_up1, g_htf_count); + ArrayResize(h_res_dn1, g_htf_count); + ArrayResize(h_res_up2, g_htf_count); + ArrayResize(h_res_dn2, g_htf_count); + ArrayResize(h_res_up3, g_htf_count); + ArrayResize(h_res_dn3, g_htf_count); + + // Force chronological alignment + ArraySetAsSeries(h_time, false); + ArraySetAsSeries(h_open, false); + ArraySetAsSeries(h_high, false); + ArraySetAsSeries(h_low, false); + ArraySetAsSeries(h_close, false); + ArraySetAsSeries(h_tick_vol, false); + ArraySetAsSeries(h_vol, false); + ArraySetAsSeries(h_res_odd, false); + ArraySetAsSeries(h_res_even, false); + ArraySetAsSeries(h_res_up1, false); + ArraySetAsSeries(h_res_dn1, false); + ArraySetAsSeries(h_res_up2, false); + ArraySetAsSeries(h_res_dn2, false); + ArraySetAsSeries(h_res_up3, false); + ArraySetAsSeries(h_res_dn3, false); + + // Copy pricing & volume data + if(CopyTime(_Symbol, g_calc_timeframe, 0, g_htf_count, h_time) != g_htf_count || + CopyOpen(_Symbol, g_calc_timeframe, 0, g_htf_count, h_open) != g_htf_count || + CopyHigh(_Symbol, g_calc_timeframe, 0, g_htf_count, h_high) != g_htf_count || + CopyLow(_Symbol, g_calc_timeframe, 0, g_htf_count, h_low) != g_htf_count || + CopyClose(_Symbol, g_calc_timeframe, 0, g_htf_count, h_close) != g_htf_count || + CopyTickVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_tick_vol) != g_htf_count) + { + g_data_ready = false; + return 0; + } + + long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT); + if(vol_limit > 0) + CopyRealVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_vol); + else + ArrayCopy(h_vol, h_tick_vol, 0, 0, g_htf_count); + + // Compute HTF VWAP Values + g_calculator.Calculate(g_htf_count, 0, h_time, h_open, h_high, h_low, h_close, + h_tick_vol, h_vol, h_res_odd, h_res_even); + + // Calculate HTF Bands + CalculateVWAPBands(g_htf_count, h_open, h_high, h_low, h_close, h_tick_vol, h_vol, InpVolumeType, + h_res_odd, h_res_even, false, + h_res_up1, h_res_dn1, h_res_up2, h_res_dn2, h_res_up3, h_res_dn3); + + g_data_ready = true; + } + + if(!g_data_ready) + return 0; + +// 5. Stateful live-bar update for active forming HTF candle + int live_idx = g_htf_count - 1; + if(live_idx >= required_bars) + { + double o[1], h[1], l[1], c[1]; + datetime t_bar[1]; + long tv[1], v[1]; + + int shift = iBarShift(_Symbol, g_calc_timeframe, htf_time_current, false); + if(shift >= 0 && + CopyTime(_Symbol, g_calc_timeframe, shift, 1, t_bar) == 1 && + CopyOpen(_Symbol, g_calc_timeframe, shift, 1, o) == 1 && + CopyHigh(_Symbol, g_calc_timeframe, shift, 1, h) == 1 && + CopyLow(_Symbol, g_calc_timeframe, shift, 1, l) == 1 && + CopyClose(_Symbol, g_calc_timeframe, shift, 1, c) == 1 && + CopyTickVolume(_Symbol, g_calc_timeframe, shift, 1, tv) == 1) + { + h_time[live_idx] = t_bar[0]; + h_open[live_idx] = o[0]; + h_high[live_idx] = h[0]; + h_low[live_idx] = l[0]; + h_close[live_idx] = c[0]; + h_tick_vol[live_idx] = tv[0]; + + long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT); + if(vol_limit > 0 && CopyRealVolume(_Symbol, g_calc_timeframe, shift, 1, v) == 1) + h_vol[live_idx] = v[0]; + else + h_vol[live_idx] = tv[0]; + + // Mock update on live bar + g_calculator.Calculate(g_htf_count, g_htf_count, h_time, h_open, h_high, h_low, h_close, + h_tick_vol, h_vol, h_res_odd, h_res_even); + + CalculateVWAPBands(g_htf_count, h_open, h_high, h_low, h_close, h_tick_vol, h_vol, InpVolumeType, + h_res_odd, h_res_even, false, + h_res_up1, h_res_dn1, h_res_up2, h_res_dn2, h_res_up3, h_res_dn3); } } -// 3. Clear Old Bands if a New Session just started - static int prev_session_start = -1; - if(current_session_start != prev_session_start) +// 6. Forming LTF Block Flat-Force Anchor (The Staircase Solution) + int start = (prev_calculated > 0) ? prev_calculated - 1 : 0; + + int first_bar_of_forming_htf = rates_total - 1; + while(first_bar_of_forming_htf > 0 && + iBarShift(_Symbol, g_calc_timeframe, time[first_bar_of_forming_htf], false) == 0) { - // Wipe everything before the current session to keep chart clean - for(int i = 0; i < current_session_start; i++) - { - BufUp1[i] = EMPTY_VALUE; - BufDn1[i] = EMPTY_VALUE; - BufUp2[i] = EMPTY_VALUE; - BufDn2[i] = EMPTY_VALUE; - BufUp3[i] = EMPTY_VALUE; - BufDn3[i] = EMPTY_VALUE; - } - prev_session_start = current_session_start; + first_bar_of_forming_htf--; } + first_bar_of_forming_htf++; -// 4. Calculate Bands strictly for the Current Session - double cum_vol = 0; - double cum_tpv2 = 0; + if(start > first_bar_of_forming_htf) + start = first_bar_of_forming_htf; -// We always recalc the current session to guarantee mathematical purity - for(int i = current_session_start; i < rates_total; i++) +// 7. Chronological Mapping Loop to Chart Timeframe + for(int i = start; i < rates_total; i++) { - double tp = (high[i] + low[i] + close[i]) / 3.0; - double vol = (InpVolumeType == VOLUME_TICK) ? (double)tick_volume[i] : (double)volume[i]; - if(vol < 1.0) - vol = 1.0; + datetime t = time[i]; + int shift_htf = iBarShift(_Symbol, g_calc_timeframe, t, false); - cum_vol += vol; - cum_tpv2 += (tp * tp) * vol; - - double vwap = (BufVWAP_Odd[i] != EMPTY_VALUE && BufVWAP_Odd[i] != 0) ? BufVWAP_Odd[i] : BufVWAP_Even[i]; - - if(cum_vol > 0 && vwap != EMPTY_VALUE && vwap != 0) + if(shift_htf >= 0) { - // Variance = E[P^2] - E[P]^2 - double variance = (cum_tpv2 / cum_vol) - (vwap * vwap); - double stddev = (variance > 0) ? MathSqrt(variance) : 0.0; - - BufUp1[i] = vwap + (InpBand1Mult * stddev); - BufDn1[i] = vwap - (InpBand1Mult * stddev); - BufUp2[i] = vwap + (InpBand2Mult * stddev); - BufDn2[i] = vwap - (InpBand2Mult * stddev); - BufUp3[i] = vwap + (InpBand3Mult * stddev); - BufDn3[i] = vwap - (InpBand3Mult * stddev); + int idx_htf = g_htf_count - 1 - shift_htf; + if(idx_htf >= 0 && idx_htf < g_htf_count) + { + BufVWAP_Odd[i] = h_res_odd[idx_htf]; + BufVWAP_Even[i] = h_res_even[idx_htf]; + BufUp1[i] = h_res_up1[idx_htf]; + BufDn1[i] = h_res_dn1[idx_htf]; + BufUp2[i] = h_res_up2[idx_htf]; + BufDn2[i] = h_res_dn2[idx_htf]; + BufUp3[i] = h_res_up3[idx_htf]; + BufDn3[i] = h_res_dn3[idx_htf]; + } + else + { + BufVWAP_Odd[i] = EMPTY_VALUE; + BufVWAP_Even[i] = EMPTY_VALUE; + BufUp1[i] = EMPTY_VALUE; + BufDn1[i] = EMPTY_VALUE; + BufUp2[i] = EMPTY_VALUE; + BufDn2[i] = EMPTY_VALUE; + BufUp3[i] = EMPTY_VALUE; + BufDn3[i] = EMPTY_VALUE; + } } else { + BufVWAP_Odd[i] = EMPTY_VALUE; + BufVWAP_Even[i] = EMPTY_VALUE; BufUp1[i] = EMPTY_VALUE; BufDn1[i] = EMPTY_VALUE; BufUp2[i] = EMPTY_VALUE; @@ -205,7 +602,57 @@ int OnCalculate(const int rates_total, } } - return(rates_total); +// 8. Mask Older Session Bands if CurrentSessionOnly is true on LTF + if(InpCurrentSessionOnly) + { + int most_recent_ltf_end = -1; + int most_recent_ltf_start = -1; + + for(int i = rates_total - 1; i >= 0; i--) + { + if(BufVWAP_Odd[i] != EMPTY_VALUE || BufVWAP_Even[i] != EMPTY_VALUE) + { + most_recent_ltf_end = i; + break; + } + } + + if(most_recent_ltf_end >= 0) + { + bool is_odd_target = (BufVWAP_Odd[most_recent_ltf_end] != EMPTY_VALUE); + most_recent_ltf_start = most_recent_ltf_end; + + for(int i = most_recent_ltf_end; i >= 0; i--) + { + bool is_valid = is_odd_target ? (BufVWAP_Odd[i] != EMPTY_VALUE) : (BufVWAP_Even[i] != EMPTY_VALUE); + if(!is_valid) + break; + most_recent_ltf_start = i; + } + + // Wipe bands before the most recent active session + for(int i = 0; i < most_recent_ltf_start; i++) + { + BufUp1[i] = EMPTY_VALUE; + BufDn1[i] = EMPTY_VALUE; + BufUp2[i] = EMPTY_VALUE; + BufDn2[i] = EMPTY_VALUE; + BufUp3[i] = EMPTY_VALUE; + BufDn3[i] = EMPTY_VALUE; + } + } + } + + return rates_total; + } + +//+------------------------------------------------------------------+ +//| OnTimer Event Handler (Data Synchronization Daemon) | +//+------------------------------------------------------------------+ +void OnTimer() + { + int required_bars = 10; + CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced); } //+------------------------------------------------------------------+ //+------------------------------------------------------------------+